摘要
针对布朗运动和泊松过程共同驱动下股票价格的随机微分方程,利用Ito公式和随机积分的方法,得到了该形式下欧式期权定价的模型,并给出了模型的求解.
The model of European option pricing for a given stochastic differential equation driven by the Brownian motion and Poisson process is obtained and the solution of the model is given out by using Ito formula and the method of stochastic differential.
出处
《纯粹数学与应用数学》
CSCD
2004年第1期79-83,共5页
Pure and Applied Mathematics
关键词
欧式期权定价
布朗运动
泊松过程
european option pricing, Brownian motion, Poisson process
